Journal
MATHEMATICS
Volume 10, Issue 3, Pages -Publisher
MDPI
DOI: 10.3390/math10030463
Keywords
Bayesian lasso; evidence lower bound; high-dimensional linear mixed model; spike and slab priors; variational Bayesian inference
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In this paper, a variational Bayesian approach is proposed to simultaneously select variables and estimate parameters in high-dimensional linear mixed models. Compared to traditional methods, this approach is more efficient and flexible. Simulation studies and an empirical analysis demonstrate the performance and practicality of the proposed method.
In high-dimensional regression models, the Bayesian lasso with the Gaussian spike and slab priors is widely adopted to select variables and estimate unknown parameters. However, it involves large matrix computations in a standard Gibbs sampler. To solve this issue, the Skinny Gibbs sampler is employed to draw observations required for Bayesian variable selection. However, when the sample size is much smaller than the number of variables, the computation is rather time-consuming. As an alternative to the Skinny Gibbs sampler, we develop a variational Bayesian approach to simultaneously select variables and estimate parameters in high-dimensional linear mixed models under the Gaussian spike and slab priors of population-specific fixed-effects regression coefficients, which are reformulated as a mixture of a normal distribution and an exponential distribution. The coordinate ascent algorithm, which can be implemented efficiently, is proposed to optimize the evidence lower bound. The Bayes factor, which can be computed with the path sampling technique, is presented to compare two competing models in the variational Bayesian framework. Simulation studies are conducted to assess the performance of the proposed variational Bayesian method. An empirical example is analyzed by the proposed methodologies.
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